Pair Correlation Between Yahoo and Oracle

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Yahoo Inc and Oracle Corporation. You can compare the effects of market volatilities on Yahoo and Oracle and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Yahoo with a short position of Oracle. Please also check ongoing floating volatility patterns of Yahoo and Oracle.
 Yahoo Inc.  vs   Oracle Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Yahoo Inc is expected to under-perform the Oracle. But the stock apears to be less risky and, when comparing its historical volatility, Yahoo Inc is 1.0 times less risky than Oracle. The stock trades about -0.06 of its potential returns per unit of risk. The Oracle Corporation is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  4,020  in Oracle Corporation on May 31, 2016 and sell it today you would earn a total of  35.00  from holding Oracle Corporation or generate 0.87% return on investment over 30 days.

Correlation Coefficient

0.44

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Very weak diversification

Overlapping area represents amount of risk that can be diversified away by holding Yahoo Inc. and Oracle Corp. in the same portfolio assuming nothing else is changed
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.40 (0.10) 0.00 (0.83) 0.00  0.0068  0.00  2.33 (3.40) 6.63 
 1.25  0.07  0.08  0.23  2.03  0.10 (1.11) 2.69 (3.92) 6.61 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Yahoo Inc

  

Risk-adjusted Performance

Over the last 30 days Yahoo Inc has generated negative risk-adjusted returns adding no value to investors with long positions.

Pair trading matchups for Yahoo

  

Oracle

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Oracle Corporation are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Oracle